MBEQ RUB[Strategy] vs [Benchmark] MRBCTR RUB

10 Feb, 2022 - 5 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	14.0%	100.0%
Cumulative Return	-12.99%	3.83%
CAGR﹪	-3.23%	0.89%
Sharpe	-0.36	-0.03
Prob. Sharpe Ratio	0.9%	3.37%
Smart Sharpe	-0.35	-0.03
Sortino	-0.47	-0.04
Smart Sortino	-0.47	-0.04
Sortino/√2	-0.33	-0.03
Smart Sortino/√2	-0.33	-0.03
Omega	0.85	0.85
Max Drawdown	-44.94%	-46.58%
Longest DD Days	1541	570
Volatility (ann.)	21.66%	30.2%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.07	0.02
Skew	-1.68	-4.13
Kurtosis	57.5	101.37
Expected Daily	-0.01%	0.0%
Expected Monthly	-0.27%	0.07%
Expected Yearly	-2.74%	0.75%
Kelly Criterion	-0.42%	1.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.25%	-3.11%
Expected Shortfall (cVaR)	-2.25%	-3.11%
Max Consecutive Wins	4	9
Max Consecutive Losses	5	14
Gain/Pain Ratio	-0.02	0.04
Gain/Pain (1M)	-0.07	0.18
Payoff Ratio	1.01	0.89
Profit Factor	0.98	1.04
Common Sense Ratio	1.11	1.0
CPC Index	0.49	0.5
Tail Ratio	1.14	0.96
Outlier Win Ratio	22.22	4.03
Outlier Loss Ratio	1.49	3.34
MTD	0.0%	0.27%
3M	0.0%	-4.68%
6M	0.0%	7.15%
YTD	0.0%	-2.4%
1Y	0.0%	5.67%
3Y (ann.)	0.0%	8.34%
5Y (ann.)	-3.23%	0.89%
10Y (ann.)	-3.23%	0.89%
All-time (ann.)	-3.23%	0.89%
Best Day	15.03%	20.14%
Worst Day	-17.74%	-33.2%
Best Month	17.42%	14.82%
Worst Month	-29.29%	-32.26%
Best Year	29.92%	51.86%
Worst Year	-33.02%	-36.14%
Avg. Drawdown	-44.94%	-8.78%
Avg. Drawdown Days	1541	107
Recovery Factor	-0.29	0.08
Ulcer Index	0.22	0.21
Serenity Index	-0.04	-0.01
Avg. Up Month	7.83%	7.11%
Avg. Down Month	-11.03%	-14.53%
Win Days	49.66%	53.57%
Win Month	46.67%	59.62%
Win Quarter	50.0%	55.56%
Win Year	50.0%	60.0%
Beta	0.0	-
Alpha	-0.01	-
Correlation	0.6%	-
Treynor Ratio	-4619.71%	-